Nonlinear filtering of reflecting diffusion processes

DOI10.1016/0304-4149(90)90002-AzbMath0707.60039MaRDI QIDQ919705

Hans-Peter Hucke

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Feynman-Kac formulareflecting diffusion processwhite noise modelnonlinear filtering model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• The nonlinear filtering problem for the unbounded case
• White noise calculus and nonlinear filtering theory
• Functional Integration and Partial Differential Equations. (AM-109)
• Robustness of estimators in a finitely additive white noise model
• Filtrage de diffusions avec conditions frontieres : caracterisation de la densite conditionnelle
• Diffusion processes with boundary conditions
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